Financial Macro and Micro Econometrics Using R

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  • Author : Hrishikesh D. Vinod
  • Publisher : North Holland
  • Pages : 350 pages
  • ISBN : 0128202505
  • Rating : /5 from reviews
CLICK HERE TO GET THIS BOOK >>>Financial Macro and Micro Econometrics Using R

Download or Read online Financial Macro and Micro Econometrics Using R full in PDF, ePub and kindle. this book written by Hrishikesh D. Vinod and published by North Holland which was released on 24 January 2020 with total page 350 pages. We cannot guarantee that Financial Macro and Micro Econometrics Using R book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R Gives readers what they need to jumpstart their understanding on the state-of-the-art

Financial Macro and Micro Econometrics Using R

Financial  Macro and Micro Econometrics Using R
  • Author : Hrishikesh D. Vinod
  • Publisher : North Holland
  • Release : 24 January 2020
GET THIS BOOK Financial Macro and Micro Econometrics Using R

Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to

Cointegration Causality and Forecasting

Cointegration  Causality  and Forecasting
  • Author : Chair of the Department of Economics Robert F Engle,Halbert White,Robert F. Engle,Clive William John Granger
  • Publisher : Oxford University Press on Demand
  • Release : 16 April 1999
GET THIS BOOK Cointegration Causality and Forecasting

This book is a collection of essays in honor of Clive Granger by some of the world's leading econometricians, all of whom have collaborated with or studied with Granger. It reflects central themes in Granger's work with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecasting evaluation, and non-linear and non-parametric econometric techniques.

Cointegration and Long Horizon Forecasting

Cointegration and Long Horizon Forecasting
  • Author : Mr.Peter F. Christoffersen,Mr.Francis X. Diebold
  • Publisher : International Monetary Fund
  • Release : 01 May 1997
GET THIS BOOK Cointegration and Long Horizon Forecasting

Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do

Cointegration

Cointegration
  • Author : Bhaskara B. Rao
  • Publisher : Springer
  • Release : 27 July 2016
GET THIS BOOK Cointegration

`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and

Cointegration Analysis in a German Monetary System

Cointegration Analysis in a German Monetary System
  • Author : Kirstin Hubrich
  • Publisher : Physica
  • Release : 16 April 2021
GET THIS BOOK Cointegration Analysis in a German Monetary System

With the decision of the European Central Bank to assign a prominent role to a monetary aggregate in its policy strategy, it is essential to further understand the policy of monetary targeting of the German Bundesbank and the conditions under which it succeeded. The focus of the empirical analysis is on long-run monetary relationships. A small sample simulation analysis compares the size and power properties of a broad range of systems cointegration tests. The results determine the methods chosen for

Distributions of Error Correction Tests for Cointegration

Distributions of Error Correction Tests for Cointegration
  • Author : Neil R. Ericsson
  • Publisher : Unknown
  • Release : 16 April 1999
GET THIS BOOK Distributions of Error Correction Tests for Cointegration

This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of variables in the error correction model, the choice of deterministic components, and the estimation sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available

Nonstationary Time Series Analysis and Cointegration

Nonstationary Time Series Analysis and Cointegration
  • Author : Colin P. Hargreaves,Director (Ceo) Economic Modelling Bureau of Australia Canberra Senior Research Fellow Colin P Hargreaves
  • Publisher : Oxford University Press, USA
  • Release : 16 April 1994
GET THIS BOOK Nonstationary Time Series Analysis and Cointegration

Nonstationary Time Series Analysis and Cointegration shows major developments in the econometric analysis of the long run (of nonstationarity and cointegration) - a field which has developed dramatically over the last twelve years to have a profound effect on econometric analysis in general. The papers here describe and evaluate new methods, provide useful overviews, and show detailed implementations helpful to practitioners. Papers include two substantive analyses of economic forecasting, based around an integral understanding of integration and cointegration and an